First off you need a crossover cable, use that to connect the Ethernet ports between the two computers
From there you need to go to Control Panel > Network Connections > Local Area Connection (make sure this is enabled) From there windows should auto detect an active connection and establish sharing automatically.
From there you need to go to Control Panel > Network Connections > Local Area Connection (make sure this is enabled) From there windows should auto detect an active connection and establish sharing automatically.